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Stats › Valorisation › Bond trading costs

The same bonds cost 36.8 basis points to trade on one reporting system and 19.5 on another

MesureInvestment gradeSourceNote
Implementation cost, European reporting data36.8 basis pointsRegulator occasional paperMean
Implementation cost, United States data, same bonds19.5 basis pointsSame paperA measurement difference, not a market difference
Round trip, buy side, calm period9.2 basis pointsCentral bank working paper on European reportsPre stress
Round trip, sell side, calm period8.7 basis pointsIdemPre stress

The first two rows come from the same study measuring the same instruments through two reporting systems, which is why the gap is informative. The second pair is from a different study on a different sample and should not be compared with the first.

A regulator measured implementation costs on investment grade bonds using two separate transaction databases covering overlapping instruments. The European reporting data gave a mean of 36.8 basis points and the United States data 19.5 on the same bonds.

36.8 basis pointsMean cost, investment grade, European reporting data
19.5 basis pointsThe same bonds in United States reporting data
9.2 basis pointsPre crisis buy side cost in a second study
8.7 basis pointsThe matching sell side cost

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